The Impact of Option Introduction on Stock Return Variances: The Role of Bid-Ask Spreads, Return Autocorrelations, and Intrinsic Variances

The purpose of this paper is to examine changes in stock return variances following option introduction. The sample consists of National Market System stocks and employs both transaction returns and returns based on bid and ask quotes. Variances are decomposed into portions attributable to bid-ask spreads, return autocorrelations, and intrinsic variances. Spreads play a negligible role in explaining variance changes. A generally positive component to short-term autocorrelations falls following option introduction, increasing variances over short holding periods. Intrinsic variances fall prior to the October 1987 crash, but do not change after the crash with option introduction.     

Migration as a Strategy of Accumulation: Social and Economic Change in Eighteenth-Century Savoy

Migration from the mountain areas of pre-industrial Europe has been seen as the product of poverty. While hardship controlled the strategies of the more marginalized households, better placed families used their migration experience to establish themselves in commerce. Over generations they used contacts and kinship systems to develop important informal trading networks. It is difficult to establish the effects of this hidden activity on local mountain economies, but dowry payments and post mortem inventories are used to expose the impact of inflowing capital and its circulation.     

A RE-EXAMINATION OF THE EFFECT OF 12B–1 PLANS ON MUTUAL FUND EXPENSE RATIOS

In this paper we re-examine the effect of 12b–1 payments on mutual fund expense ratios by analyzing data from 1988 through 1991. The findings are consistent with previous studies that find charges are a dead-weight cost borne by shareholders. However, we show that this cost increases over time.     

Nea presidential address, 1991: Sixteenth-century European expansion and the economic decline of Africa (in honor of Walter Rodney)

Prior to the sixteenth century, the Indian Ocean trading network was one of the wealthiest commercial regions in the world. It included states of East Africa, the Arabian peninsula, the Indian subcontinent, Southeast Asia, China and Japan. By circumnavigating Africa, Portugal was the first European nation to gain access to the region. Through the exercise of naval superiority, blockading of strategic shipping lanes, imposition of duties and expulsion of Swahili and Muslim merchants, Portugal exercised a mercantile monopoly which ultimately led to the region’s rapid economic decline. Using rare historical documents from Po rtugal and Africa, this study traces the effects of Portuguese expansion on the economies of East Africa and trade in the Indian Ocean.     

Competitive and Information Effects of Cross-Border Stock Listings

We examine the effect of 269 cross‐border listings on rivals in the listing and domestic markets and find that U.S. rivals experience significant gains whereas domestic rivals do not. Both competitive and information effects are important in explaining the reaction of U.S. rivals. Regarding the competitive effects, the reaction of rivals is less favorable when listings originate in developed countries and more favorable when listing firms do not have prior operating presence in the United States. Regarding the information effects, the reaction is less favorable when listings are combined with equity offerings and more favorable when the listing is the first to occur within an industry.